Quant jobs / Qube Research & Technologies

Front Office Pricing Modelling Quant – Rates Volatility

A front-office pricing quant role building rates-volatility models in the firm's derivatives library. It spans research, calibration and production integration with traders.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Implement swaption, Bermudan, cap/floor and CMS pricers
Calibrate SABR, LGM and Cheyette models to market data
Write Monte Carlo and PDE solvers for exotic structures
Document and test models, then wire them into production pricing

What they ask for

Required

Front-office rates volatility pricing
Swaptions, Bermudans, caps/floors and CMS
SABR, LGM and Cheyette models
Monte Carlo and PDE methods
Derivatives theory and stochastic processes
Strong C++
Working with traders on calibration

Preferred

Modern C++
Algorithmic adjoint differentiation
Mentoring junior colleagues

Education: Advanced degree in maths, physics, engineering, CS or another quantitative subject.
Experience: 10–15 years as a front-office pricing quant in rates volatility
Languages and tools: C++
Markets: fixed-income, options

How to prepare

Implement SABR calibration to a swaption smile
Price a Bermudan swaption with a one-factor short-rate model on a lattice
Compare Monte Carlo and PDE pricing for a CMS product
Learn algorithmic adjoint differentiation for fast Greeks

What to study

The Rates Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Qube Research & Technologies’s site before applying: requirements, location and pay can change after we check them.

View the posting on Qube Research & Technologies’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Qube Research & Technologies and doesn’t handle applications.